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Fractional dynamics in Japanese financial time series

  • Barkoulas, John T.
  • Baum, Christopher F.

Using the spectral regression and Gaussian semiparametric methods of estimating the long-memory parameter, we test for fractional dynamic behavior in a number of important Japanese financial time series: spot exchange rates, forward exchange rates, stock prices, currency forward premia, Euroyen deposit rates, and the Euroyen term premium. Stochastic long memory is established as a feature of the currency forward premia, Euroyen deposit rates, and Euroyen term premium series. The martingale model cannot be rejected for the spot, forward, and stock price series.

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Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 6 (1998)
Issue (Month): 1-2 (May)
Pages: 115-124

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Handle: RePEc:eee:pacfin:v:6:y:1998:i:1-2:p:115-124
Contact details of provider: Web page: http://www.elsevier.com/locate/pacfin

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  9. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
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  12. Mandelbrot, Benoit B, 1971. "When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 225-36, August.
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